MSFT Custom Report

Metrics Table

Metric MSFT SPY
Best Day 14.22% 9.06%
Best Month 17.63% 12.7%
Best Year 56.8% 27.04%
CAGR 17.7% 8.87%
CPC Index 0.66 0.59
Calmar 0.47 0.26
Common Sense Ratio 1.14 1.11
Cumulative Return 225.4% 85.11%
Daily Value-at-Risk -0.03 -0.02
Expected Daily 0.09% 0.05%
Expected Monthly 1.95% 1.01%
Expected Yearly 21.73% 10.81%
Gain/Pain Ratio 0.18 0.14
Kurtosis 7.25 11.61
Max Drawdown -37.56% -34.1%
Payoff Ratio 1.04 0.95
Prob. Sharpe Ratio 98.1% 93.66%
Profit Factor 1.18 1.14
Recovery Factor 3.75 2.13
Risk of Ruin 0.0% 0.0%
Sharpe 0.93 0.69
Skew -0.01 -0.56
Smart Sharpe 0.77 0.59
Smart Sortino 1.13 0.82
Smart Sortino/√2 0.8 0.58
Sortino 1.37 0.97
Sortino/√2 0.97 0.68
Tail Ratio 0.96 0.97
Ulcer Index 0.13 0.1
Volatility (ann.) 30.33% 20.97%
Worst Day -14.74% -10.94%
Worst Month -10.93% -13.0%
Worst Year -28.69% -19.48%